Quantify the concentration risk within your portfolios arising from an unequal weighting of loan amounts to single, or groups (e.g. on a regional basis) of, counterparties.
Concentration risk arises in portfolios when there is an unequal weighting of loan amounts to single counterparties or groups of exposures for example to a particular region or sector. Conversely, credit concentration risk is reduced as the largest individual or group of exposures account for a smaller share of the loan portfolio. Such diversification is not always possible and other mechanisms to mitigate the risk to credit institutions have been required by their regulators.
To ensure the continued operation of the institution exposed to such risks the industry is increasingly turning to analytical methods, such as those employed by elanev. Such techniques are used to calculate a measure of the credit concentration risk associated with exposures to either single counterparties or groups of counterparties. This end to end process enables businesses to consider appropriate levels of mitigation including the sufficiency of capital.
The elanev approach has been purposely developed with the aim of being suitable to most users. Should bespoke support be required this is provided though consultancy.